Add performance summary by period

[danielkrizian]

period <- function(from, to, format="%b %y", sep=" - ") { paste(strftime(from, format=format) ,strftime(to, format=format) ,sep=sep) }

nperiods <- function(x, ann=NA) { if(is.na(ann)) { freq <- if(timeBased(x)) periodicity(as.POSIXct(x))$frequency ann <- (60_60_24*31) / freq } nobs <- length(x) if(nobs>1){ result <- floor( nobs / ann ) } else result <- NA as.integer(result) }

weeks

difftime(strptime("26.03.2014", format = "%d.%m.%Y"), strptime("14.01.2013", format = "%d.%m.%Y"),units="weeks") Time difference of 62.28571 weeks

months

(as.yearmon(strptime("26.03.2014", format = "%d.%m.%Y"))- as.yearmon(strptime("14.01.2013", format = "%d.%m.%Y")))*12 [1] 14

quarters

(as.yearqtr(strptime("26.03.2014", format = "%d.%m.%Y"))- as.yearqtr(strptime("14.01.2013", format = "%d.%m.%Y")))*4 [1] 4

years

year(strptime("26.03.2014", format = "%d.%m.%Y"))- year(strptime("14.01.2013", format = "%d.%m.%Y")) [1] 1

nmonths <- function(from, to) { (as.yearmon(as.Date(to))- as.yearmon(as.Date(from)))*12 }

nyears <- function(x) { if(is.xts(x)) x <- index(x) if(is.data.table(x)) if(any("Date" %in% colnames(x))) x <- as.Date(x[,Date]) x <- as.Date(x)

add <- ifelse(periodicity(x)$scale=='monthly',as.POSIXlt(min(x))$mday,1) return((as.double(diff(range(x)))+add)/365) }

compute.time.period <- function (equity=cumprod(1 + R), R=NULL) { temp <- Sys.getlocale("LC_TIME") Sys.setlocale(category="LC_TIME", locale="C") ret <- join( format( range(index(cumprod(1 + R))), '%b %Y'), ' - ') Sys.setlocale(category="LC_TIME", locale=temp) return(ret) }

compute.monthly.returns <- function(equity=cumprod(1 + R), R=NULL){ month.ends = unique(sort(c(1,endpoints(equity, 'months')))) return( ROC(equity[month.ends, ], type = 'discrete', na.pad=FALSE) ) }

compute.annual.returns <- compute.yearly.returns <- function(equity=cumprod(1 + R), R=NULL){ year.ends = unique(sort(c(1,endpoints(equity, 'years')))) return( ROC(equity[year.ends, ], type = 'discrete', na.pad=FALSE) ) }

compute.rolling.returns <- function(R, window=12, na.rm=TRUE) { R <- apply.rolling(R, width=window, FUN=function(x){prod(1 + x) - 1}) if(na.rm) R <- na.omit(R) return(R) }

compute.win.months.rate <- function (equity=cumprod(1 + R), R=NULL) { mret <- compute.monthly.returns(equity) return( sum(mret >= 0, na.rm = T) / length(mret) ) }

' Some Title

'

' @export

compute.win.month.avg.return <- function(equity=cumprod(1 + R), R=NULL) { mret <- compute.monthly.returns(equity) return( mean(mret[mret > 0]) ) }

compute.loss.month.avg.return <- function(equity=cumprod(1 + R), R=NULL) { mret <- compute.monthly.returns(equity) return( mean(mret[mret < 0]) ) }

compute.best.month <- function(equity=cumprod(1 + R), R=NULL) { mret <- compute.monthly.returns(equity) return( max(mret, na.rm = T) ) }

compute.worst.month <- function(equity=cumprod(1 + R), R=NULL) { mret <- compute.monthly.returns(equity) return( min(mret, na.rm = T) ) }

compute.win.years.rate <- function (equity=cumprod(1 + R), R=NULL) { yret <- compute.yearly.returns(equity) return( sum(yret >= 0, na.rm = T) / length(yret) ) }

compute.best.year <- function(equity=cumprod(1 + R), R=NULL) { yret <- compute.yearly.returns(equity) return( max(yret, na.rm = T) ) }

compute.worst.year <- function(equity=cumprod(1 + R), R=NULL) { yret <- compute.yearly.returns(equity) return( min(yret, na.rm = T) ) }

compute.win.12m.rate <- function (equity=cumprod(1 + R), R=NULL) { mret <- compute.monthly.returns(equity) ret.12m <- as.numeric(compute.rolling.returns(mret, window=12)) return( sum( ret.12m > 0) / length( ret.12m ) ) }